Preheat the oven to 375°. Butter a 1-quart soufflé dish. Add the Parmesan and turn the dish to coat it with the cheese.
In a medium saucepan, melt the butter over low heat. Add the flour and cook, whisking, until blended.
Whisk in the milk, wine, mustard and anchovy paste and cook, whisking, until the sauce is smooth and thick, about 8 minutes. Remove from the heat and stir in the goat cheese and 1 teaspoon of the thyme leaves.
Season with salt and pepper and stir in the egg yolks. Scrape the soufflé mixture into a large bowl and press a piece of plastic wrap directly on the surface.
In a large stainless steel bowl, beat the egg whites with a pinch of salt until soft peaks form. Using a rubber spatula, fold one-third of the beaten whites into the soufflé mixture; fold in the remaining whites until just a few streaks remain.
Gently scrape the mixture into the prepared dish. Sprinkle the top with the Cheddar, the remaining 1/2 teaspoon of thyme and some pepper. Bake the soufflé in the middle of the oven for about 25 minutes, or until nicely risen and browned on top.